Document Type : Original Research Paper
Authors
Department of Public Administration, Finance major, Qaemshahr Islamic Azad University, Mazandaran, Iran
Abstract
One of the important issues in capital markets is uncertainty, ups and downs, and yield fluctuations. Since these fluctuations can lead to an increase in uncertainty and ultimately bankruptcy and the exit of the company from the capital market, the discussion of choosing the optimal investment portfolio reduces the concern about the future of investment. In this research, the optimal composition of the investment portfolio of an insurance company in the Tehran Stock Exchange in the years 1388-1392 has been determined. To choose the optimal combination of the investment portfolio, Sharp's single-index model, which is one of the most efficient models for choosing the optimal portfolio, has been used. This research is analytical-descriptive, and in order to compile the theoretical foundations and basic concepts of the research subject, the library method and the study of Persian and Latin books and articles have been used. Also, the statistics of the financial statements of this insurance company were used to estimate the model. SPSS19 software was used to estimate and analyze the data. The results showed that among the 33 companies present in the investment portfolio of this company, 19 companies have the largest share in the composition. In the following, in order to determine the significant frequency between the current and the optimal combination of the company's portfolio, the one-sample t-test has been used. Based on this, 19 hypotheses were examined. The results showed that there is a significant difference between the current and the optimal combination of this insurance company in different companies. Finally, the share percentage of each of the 19 companies in the composition of the new portfolio was determined.
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